Vista and IE7

When I open any web page and select a graphic to save, (which then opens in a new window), I can change the "Save to" location to anywhere I wish. When I return to the "master" web page and try to save another graphic, and am redirected to another window, I find that IE7 has defaulted back to the very annoying Microsoft "Sample Pictures" folder.
Is there any way I can stop this change, at least for each of my visits to that web page, irrespective of how many windows it opens, or better still can I permanently change the default "Save" location to a folder of my choice?